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Estimation and testing of dynamic models with generalised hyperbolic innovations
Sentana, Enrique; Mencía, Javier - 2004
Persistent link: https://www.econbiz.de/10002585360
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Spanning tests in return and stochastic discount factor mean-variance frontiers : a unifying approach
Penaranda, Francisco; Sentana, Enrique - 2004
Persistent link: https://www.econbiz.de/10002410361
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Mean-variance portfolio allocation with a value at risk constraint
Sentana, Enrique - 2001
Persistent link: https://www.econbiz.de/10001592527
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Mean-variance-skewness analysis : an application to risk premia in the Spanish stock market
Sánchez-Torres, Pedro Luis - In: Investigaciones económicas 22 (1998) 1, pp. 5-17
Persistent link: https://www.econbiz.de/10001243514
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Testing for GARCH effects : a one-sided approach
Dēmos, Antōnēs A. - In: Journal of econometrics 86 (1998) 1, pp. 97-127
Persistent link: https://www.econbiz.de/10001243865
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Marginalization and contemporaneous aggregation in multivariate GARCH processes
Nijman, Theodore E. - In: Journal of econometrics 71 (1996) 1, pp. 71-87
Persistent link: https://www.econbiz.de/10001194742
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Semi-parametric estimation and the predictability of stock market returns : some lessons from Japan
Sentana, Enrique - In: The review of economic studies 58 (1991) 4, pp. 547-563
Persistent link: https://www.econbiz.de/10001114304
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Feedback traders and stock return autocorrelations : evidence from a century of daily data
Sentana, Enrique - In: The economic journal : the journal of the Royal … 102 (1992) 411, pp. 415-425
Persistent link: https://www.econbiz.de/10001129728
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An EM algorithm for conditionally heteroscedastic factor models
Dēmos, Antōnēs A. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 3, pp. 357-361
Persistent link: https://www.econbiz.de/10001246504
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Volatility and links between national stock markets
King, Mervyn - In: Econometrica : journal of the Econometric Society, an … 62 (1994) 4, pp. 901-933
Persistent link: https://www.econbiz.de/10001252917